/usr/include/ql/pricingengines/vanilla/analyticptdhestonengine.hpp is in libquantlib0-dev 1.12-1.
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/*
Copyright (C) 2010, 2017 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file analyticptdhestonengine.hpp
\brief analytic piecewise time dependent Heston-model engine
*/
#ifndef quantlib_analytic_piecewise_time_dependent_heston_engine_hpp
#define quantlib_analytic_piecewise_time_dependent_heston_engine_hpp
#include <ql/instruments/vanillaoption.hpp>
#include <ql/pricingengines/vanilla/analytichestonengine.hpp>
#include <ql/models/equity/piecewisetimedependenthestonmodel.hpp>
namespace QuantLib {
//! analytic piecewise constant time dependent Heston-model engine
/*! References:
Heston, Steven L., 1993. A Closed-Form Solution for Options
with Stochastic Volatility with Applications to Bond and
Currency Options. The review of Financial Studies, Volume 6,
Issue 2, 327-343.
J. Gatheral, The Volatility Surface: A Practitioner's Guide,
Wiley Finance
A. Elices, Models with time-dependent parameters using
transform methods: application to Heston’s model,
http://arxiv.org/pdf/0708.2020
\ingroup vanillaengines
*/
class AnalyticPTDHestonEngine
: public GenericModelEngine<PiecewiseTimeDependentHestonModel,
VanillaOption::arguments,
VanillaOption::results> {
public:
enum ComplexLogFormula { Gatheral, AndersenPiterbarg };
typedef AnalyticHestonEngine::Integration Integration;
// Simple to use constructor: Using adaptive
// Gauss-Lobatto integration and Gatheral's version of complex log.
// Be aware: using a too large number for maxEvaluations might result
// in a stack overflow as the Lobatto integration is a recursive
// algorithm.
AnalyticPTDHestonEngine(
const boost::shared_ptr<PiecewiseTimeDependentHestonModel>& model,
Real relTolerance, Size maxEvaluations);
// Constructor using Laguerre integration
// and Gatheral's version of complex log.
AnalyticPTDHestonEngine(
const boost::shared_ptr<PiecewiseTimeDependentHestonModel>& model,
Size integrationOrder = 144);
// Constructor giving full control over Fourier integration algorithm
AnalyticPTDHestonEngine(
const boost::shared_ptr<PiecewiseTimeDependentHestonModel>& model,
ComplexLogFormula cpxLog,
const Integration& itg,
Real andersenPiterbargEpsilon = 1e-8);
void calculate() const;
Size numberOfEvaluations() const;
// normalized characteristic function
std::complex<Real> chF(const std::complex<Real>& z, Time t) const;
std::complex<Real> lnChF(const std::complex<Real>& z, Time t) const;
private:
class Fj_Helper;
class AP_Helper;
mutable Size evaluations_;
const ComplexLogFormula cpxLog_;
const boost::shared_ptr<Integration> integration_;
const Real andersenPiterbargEpsilon_;
};
}
#endif
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